Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 12 15 11
Score 1.18 3.77 0.82
Market Cap (Millions USD) 10019.52 9797.53 10131.01
Predicted Beta 0.93 0.93 0.92
Idiosyncratic Volatility 1.42 1.61 1.64

Annualized return and volatility

XLI
Annualized Return 0.0720
Annualized Std Dev 0.2065
Annualized Sharpe (Rf=0%) 0.3485

Row

Daily Return Statistics

XLI
Observations 5112.0000
NAs 2.0000
Minimum -0.0940
Quartile 1 -0.0055
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0067
Maximum 0.1071
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0130
Skewness -0.1234
Kurtosis 5.8758

Downside Risk

XLI
Semi Deviation 0.0094
Gain Deviation 0.0090
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.6226
Historical VaR (95%) -0.0205
Historical ES (95%) -0.0313
Modified VaR (95%) -0.0199
Modified ES (95%) -0.0331
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2011-04-29 -0.6226 911 364 547
2000-12-12 2002-10-09 2004-12-01 -0.4352 1015 464 551
2011-05-02 2011-10-03 2012-03-15 -0.2584 223 109 114
2018-09-24 2018-12-24 2019-07-24 -0.2411 212 65 147
2015-02-23 2016-01-20 2016-04-27 -0.1570 302 234 68

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLI
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -0.7 -0.5 0.0 2.3 0.8 0.0 0.8 0.9 0.0 0.1 0.9 0.0 4.6
2001 -1.3 -0.7 0.0 0.9 -0.3 0.0 0.6 0.0 -0.9 2.1 0.0 0.0 0.3
2002 -0.8 2.3 0.0 0.3 0.0 -2.2 -2.2 0.0 4.4 1.3 0.0 0.0 2.9
2003 0.0 0.0 1.4 -1.5 0.0 0.2 -0.8 0.0 2.0 0.0 1.5 0.0 2.8
2004 0.0 0.5 0.6 0.0 0.0 -1.5 0.0 0.0 1.4 0.3 1.7 0.0 3.0
2005 0.3 0.3 -1.0 0.0 0.4 0.3 -0.1 -0.4 0.0 -0.3 1.1 0.0 0.7
2006 0.9 0.8 0.0 0.3 1.0 0.0 -0.6 0.7 0.0 -0.5 -0.6 0.0 2.0
2007 0.9 -0.2 0.0 0.6 0.4 0.0 0.7 0.0 1.3 -1.7 0.0 0.0 2.0
2008 2.3 0.0 2.3 0.6 0.0 -0.1 -0.1 0.0 -2.4 0.0 -8.2 0.0 -5.8
2009 0.0 0.0 2.2 1.1 4.6 0.4 0.0 -1.7 -2.5 0.0 1.6 0.0 5.8
2010 1.5 1.3 0.6 0.0 -2.2 -0.3 0.0 4.0 0.1 0.0 2.6 0.0 7.7
2011 1.4 -2.1 0.8 0.0 -3.3 1.8 -0.6 -1.6 0.0 -3.0 -0.3 0.0 -6.9
2012 1.1 0.3 0.0 0.3 -2.8 0.0 -0.7 0.0 0.5 1.8 0.0 0.0 0.5
2013 1.0 -0.2 -1.2 -1.3 0.0 1.0 1.7 0.0 0.6 0.7 0.0 0.0 2.3
2014 0.0 0.0 0.7 -0.2 0.0 0.6 -0.1 0.0 -1.9 0.0 -1.3 0.0 -2.2
2015 0.0 0.0 -0.7 1.3 0.4 0.5 0.0 -2.7 -0.2 0.0 0.5 0.0 -0.9
2016 -0.2 2.0 0.5 0.0 0.1 0.3 -0.1 0.1 0.0 -0.9 0.7 0.0 2.4
2017 -0.2 1.7 0.0 -0.3 0.6 0.0 -0.3 0.1 0.0 -0.1 -1.2 0.0 0.3
2018 -0.2 -2.0 0.0 -0.5 1.1 0.0 -1.4 0.0 0.9 1.8 0.0 0.0 -0.3
2019 0.2 0.1 2.1 -0.7 0.0 0.1 -1.9 0.0 -2.4 2.2 0.0 -0.4 -0.9

Row

Rolling Performance Chart

Snail Trail Chart